Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision

David Goldbaum () and Bruce Mizrach ()

Departmental Working Papers from Rutgers University, Department of Economics

Abstract: We estimate the intensity of choice parameter in heterogenous agent models in both a static and dynamic setting. Mean-variance optimizing agents choose among mutual funds of similar styles but varying performance. Actively managed funds have a lower Sharpe ratio than passive index funds, yet they attract a majority share of asset allocation. By estimating the relative growth of passive funds, we obtain a dynamic estimate of the intensity of choice calibrated to 10 years of mutual fund flows.

Keywords: heterogenous agents; intensity of choice; mutual funds (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: Written

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Related works:
Working Paper: Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision (2005)
Journal Article: Estimating the intensity of choice in a dynamic mutual fund allocation decision (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:rut:rutres:200414

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